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- W2497001077 abstract "The predictive accuracy of challenging financial sector price forecast densities and the effect of liquidity are investigated for the 1990 to 2013 period. The author uses the EGARCH model to capture leverage and persistence effect. Coefficient estimations have been done until the last trading day of 2005. The output indicates that leverage and persistence effects are significant for almost all of the financial institutions. Liquidity term is only significant for some of the institutions. Normality and autocorrelation of the data have been tested and it is found that data violates i.i.d assumptions. Two distributions that are Gaussian and student t have been tested to forecast future volatility. Accuracy of two models is investigated for out-of-sample data, which starts from 01/01/2006. Out of Sample Log Likelihood and Weighted Log Likelihood ratios have been used to rank models. The author finds that the EGARCH model with Gaussian distribution performs better than alternative model for both of the ranking tests. The findings related in this chapter are unexpected in that Gaussian distribution has better performance than student t distribution." @default.
- W2497001077 created "2016-08-23" @default.
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- W2497001077 date "2014-07-18" @default.
- W2497001077 modified "2023-09-23" @default.
- W2497001077 title "Asset Price Density Forecasting for the Financial Sector" @default.
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- W2497001077 doi "https://doi.org/10.4018/978-1-4666-6070-0.ch011" @default.
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